Bayesian estimation of the Gaussian mixture GARCH model.
María Concepción AusínPedro GaleanoPublished in: Comput. Stat. Data Anal. (2007)
Keyphrases
- bayesian estimation
- gaussian mixture
- garch model
- stock market
- em algorithm
- closed form
- gaussian mixture model
- covariance matrix
- expectation maximization
- probability density function
- mixture model
- posterior distribution
- hidden variables
- density estimation
- generative model
- probability distribution
- probabilistic model
- bayesian framework
- maximum likelihood